The essays below are grouped by subject. Within each topic, the earlier pieces introduce ideas used in the later ones.
Portfolio Construction
How to combine investments, choose leverage, and decide how much to bet.
- Regression is Not Intuitive
- Is Your Sharpe Lying?
- Correlation is not Intuitive
- In Defense of Leveraged ETFs
- The Risks of a Growth Efficient Portfolio
- Volatility Drag & Volatility Pumping
- Bet Sizing With Skewed Returns
- Liquidity for Long-Term Investors
- The Best Predictor of Asset Returns
- Don’t Short the Bubble
Market Microstructure
Order books, market makers, execution costs, and the rules that shape trading.
Volatility & Derivatives
Options pricing, volatility surfaces, hedging, and the risks that simple models miss.
- Derivatives Pricing
- Stock Prices Can't be Smooth
- Why Robinhood Banned Box Spreads
- Warren Buffett & Put Selling
- Options Implied Distributions are NOT Real-World Distributions
- Hedging Errors & Options PnL
- Options Path-Dependency
- Pin Risk
- The Effects of Spot-Vol Correlation
- Skew and Kurtosis from Two Perspectives
- Vol Convexity
- How Volmageddon Wiped out Billions
- Implied Correlation and Index Skew
- Volatility Term Structure
- Decomposing Volatility Skew
- Beta Compression
- Multidimensional Greeks
- Perpetual Options
- Exotic Derivatives Risk Recycling
- Cross-Asset Relative Value
- Derivative Income
- Events & Forward Volatility
- Variance Time Modeling
Prediction Markets
What a market price says about an event, and what it leaves out.
Macro & Theory
Interest rates, inflation, asset pricing, and the forces behind long-run returns.
- Inflation & Interest
- Negative Interest Rates
- Modern Monetary Theory
- Fiscal Dominance
- In Defense of the 50 Year Mortgage
- PCA of Fixed-Income Returns
- The Equity Risk Premium Puzzle
- The Bonds in the Stocks
- Post-Earnings-Announcement Drift
- Factor Investing
- Rates & Stocks Under Fast Takeoff
- How to Extract Max Value from Your Edge?
- Rates & Mortgage Spreads
- The Stolper–Samuelson Theorem
Corporate Finance
Valuation, capital structure, public listings, and the economics of the firm.
Decentralized Finance
Capital formation, lending, market making, and settlement onchain.
Mathematical Curiosities
Problems in probability, computation, and reasoning with consequences for markets.
Freeport Markets
The ideas behind Freeport and the markets it makes accessible.
Professional Punters
Conversations with people who make a living taking risk.